You can just double-click on a diagram to create a lifeline or other ways that are described in the Diagram Editor page.
You can easily create links between Lifelines by clicking the [L] icon that appears when you have a mouse over a Lifeline.
There are two ways to create Messages. First of all, the two lifelines need to be connected with a link in order to create a message.
Select a [Message] from the tool palette and click on a line. Then a red arrow appears, the direction of the arrow changes when you move a mouse. Release your mouse when the red arrow is pointing the way you like.
Have a mouse over a link line, and click [S] button, then a message is created.